Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0069
Annualized Std Dev 0.1263
Annualized Sharpe (Rf=0%) -0.0543

Row

Daily Return Statistics

Close
Observations 5583.0000
NAs 1.0000
Minimum -0.1126
Quartile 1 -0.0029
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0035
Maximum 0.0719
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0080
Skewness -1.0421
Kurtosis 25.4101

Downside Risk

Close
Semi Deviation 0.0059
Gain Deviation 0.0057
Loss Deviation 0.0071
Downside Deviation (MAR=210%) 0.0111
Downside Deviation (Rf=0%) 0.0059
Downside Deviation (0%) 0.0059
Maximum Drawdown 0.5349
Historical VaR (95%) -0.0110
Historical ES (95%) -0.0197
Modified VaR (95%) -0.0112
Modified ES (95%) -0.0112
From Trough To Depth Length To Trough Recovery
1999-01-05 2008-10-10 2012-02-24 -0.5349 3302 2453 849
2012-03-09 2020-03-23 NA -0.3654 2273 2022 NA
2012-02-29 2012-03-05 2012-03-08 -0.0198 7 4 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 1.2 -0.4 0 0 0.4 0.4 0.5 -1.4 1 0 0.5 1.6 3.9
2000 0 -1.1 1.1 0.5 1.6 1 -1 0 0 0.5 0.5 -0.5 2.8
2001 0.1 -0.5 0.3 0.6 -0.5 0.4 0.2 1.1 1.1 0.1 0.1 1.3 4.3
2002 0.1 0.5 0.7 0.7 0.7 -0.5 -0.1 0.4 -0.3 0.4 0.6 1.6 5.1
2003 0.3 0 0.1 0.6 0.1 0.3 -2.7 0.6 0.1 0.5 0.1 0.3 0
2004 0.2 -0.9 0.1 0.6 0.4 -0.3 1 -0.1 0.3 -0.1 -1.1 0.4 0.3
2005 -0.4 0.1 0.3 0.3 1.1 -0.1 0.2 0.2 -0.2 0.3 0 -0.3 1.6
2006 -0.6 -0.6 -0.1 -0.5 0.1 0.6 -0.8 0.4 0.4 0.5 0 0 -0.6
2007 0.1 0.1 0 -0.3 -0.3 0.5 0.3 0.9 -0.1 0.1 0.2 1.6 3
2008 -0.2 -1.3 0.3 0.1 -0.1 0.5 -0.3 0.4 2.4 -0.3 -3.4 0.8 -1.3
2009 0 0.3 0.8 0.7 -0.2 -0.9 0.3 0.1 0.8 -0.2 0.8 0.5 2.8
2010 -0.1 0.1 0.3 0.2 0 0.1 0.9 0.5 0.3 0.1 -0.5 0.8 2.9
2011 -0.3 0.1 0.5 0 0.1 0.3 1.5 1 -0.2 0.4 0.6 -0.6 3.4
2012 0.2 0.2 -0.5 0.5 0 -0.1 1.1 0.6 0.5 0.1 0.8 0.7 4.3
2013 0.4 -0.1 0.1 0.6 -1.7 1.1 -1.1 0.5 0.4 -1.2 -0.1 -0.3 -1.5
2014 0.1 0.2 -0.1 0.4 -0.1 -0.2 0.3 0.4 0.1 -0.3 0 -0.1 0.6
2015 0.5 2.4 0.1 -0.7 0.1 -0.1 0.8 0 0.4 0.4 0.4 -0.1 4.2
2016 0.9 0.6 0.3 0.8 0.5 -0.3 0.4 -0.2 -0.2 3 0 0.4 6.3
2017 0.1 -1.3 -0.1 0.1 0.1 -0.1 0.1 0 0.3 0 0 0 -0.9
2018 -0.1 0.1 0.2 -1.2 -0.3 -0.1 -0.5 0.4 0.9 -0.2 0.3 0.2 -0.3
2019 0.2 -0.3 -0.1 0.5 -0.1 -0.5 0.3 0.7 -0.1 -0.2 -0.1 0.1 0.5
2020 -0.2 -1.1 -3.8 -0.1 1.9 -0.1 0.4 0.1 0.7 -0.1 0 1.6 -0.9
2021 0.4 1.5 -0.2 NA NA NA NA NA NA NA NA NA 1.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  16.8 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  16.6 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  16.6 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  16.5 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  16.5 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  16.4 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart